Linearity testing for fuzzy rule-based models

Authors:
José Luis Aznarte;Marcelo C. Medeiros;José M. Benítez
Affiliations:
Department of Computer Science and Artificial Intelligence, CITIC-UGR, University of Granada, Spain;Department of Economics, Pontifical Catholic University of Rio de Janeiro, Brazil;Department of Computer Science and Artificial Intelligence, CITIC-UGR (Research Center on Information and Communication Technology), University of Granada, Spain
Venue:
Fuzzy Sets and Systems
Year:
2010

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Abstract

In this paper, we introduce a linearity test for fuzzy rule-based models in the framework of time series modeling. To do so, we explore a family of statistical models, the regime switching autoregressive models, and the relations that link them to the fuzzy rule-based models. From these relations, we derive a Lagrange multiplier linearity test and some properties of the maximum likelihood estimator needed for it. Finally, an empirical study of the goodness of the test is presented.